• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

ADR/GDR fungibility to ordinary lines

Joined
7/29/18
Messages
178
Points
138
Hello,

I am looking to run a backtesting on historical performance of ADR/ORD pairs and one of the factors I wanted to check was fungilibility and how it affects the basis (spread between ordinary line performance and adr). For example, TSM US and 2330 TT are issued by the same company. But the ordinary line cant be flipped to the ADR, though the ADR can be. I cant find a field in BBG that highlights this and not sure how to proceed further without getting this piece of information
 
Just on the functionality side - I think you can create a CIX on BBG to create custom ticker(or attribute) : spread or ratio. Or even set this up as portfolio with suitable positions in such equity pairs using PORT to create backtesting. Helpdesk should be able to help to set something up from scratch. If you have Bloomberg Anywhere license, then helpdesk could also help you with setting up BQL(Bloomberg Query Language) formula to create custom attribute.
 
Just on the functionality side - I think you can create a CIX on BBG to create custom ticker(or attribute) : spread or ratio. Or even set this up as portfolio with suitable positions in such equity pairs using PORT to create backtesting. Helpdesk should be able to help to set something up from scratch. If you have Bloomberg Anywhere license, then helpdesk could also help you with setting up BQL(Bloomberg Query Language) formula to create custom attribute.
Hey, thanks for the suggestion. So, I have a python script that can just go ham on backtesting any number of input pairs and spits out descriptive statistics. The issue is my boss asked me to seggregate the results between fungible ADR/ord pairs (where you can convert ADR to ordinary domestic line and vice versa) and non fungible. There isnt a field in BBG to identify this, the support desk confirmed it to me unfortunately.
 
Hey, thanks for the suggestion. So, I have a python script that can just go ham on backtesting any number of input pairs and spits out descriptive statistics. The issue is my boss asked me to seggregate the results between fungible ADR/ord pairs (where you can convert ADR to ordinary domestic line and vice versa) and non fungible. There isnt a field in BBG to identify this, the support desk confirmed it to me unfortunately.
Sorry @longgamma for not being helpful and my ideas exhaust here. Hope you find a workaround. Maybe the fungible issues are easily identified in fixed-income space, but not so much in the equity world(or could be my ignorance).

Also, I recommend trying to knock at helpdesk multiple times so that you hear from the asset class experts or your query gets routed to data mgmt guys. Not all fields are published on <FLDS>, but they could be willing to publish it in future if data team is able to scrape it.
 
Back
Top